Obviously it is not possible to sample the infinite set of parameters
\(\left(\mathbf {m}_{j},\mathbf {\Sigma }_{j}\right)_{j>1}\)  but it had been
shown by [1]} that, by augmenting the model
with the latent variable \(u\) , we only need to sample a finite set
of these parameters to obtain a sample from the target “DPM distribution”
(i.e. distribution that is a trajectory of a DPM).
